Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Jan 08 (1D) | Jan 09 (2D) | Jan 12 (5D) | Jan 13 (6D) | Jan 14 (7D) | Jan 15 (8D) | Jan 16 (9D) | Jan 19 (12D) | Jan 20 (13D) | Jan 21 (14D) | Jan 23 (16D) | Jan 30 (23D) | Feb 06 (30D) | Feb 13 (37D) | Feb 20 (44D) | Feb 27 (51D) | Mar 06 (58D) | Mar 13 (65D) | Mar 20 (72D) | Mar 27 (79D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 684.029 | 681.729 | 677.167 | 675.982 | 674.893 | 673.879 | 672.926 | 670.35 | 669.565 | 668.809 | 667.375 | 662.957 | 659.174 | 655.813 | 652.757 | 649.936 | 647.303 | 644.824 | 642.476 | 640.239 |
| upper | 695.131 | 697.431 | 701.993 | 703.178 | 704.267 | 705.281 | 706.234 | 708.81 | 709.595 | 710.351 | 711.785 | 716.203 | 719.986 | 723.347 | 726.403 | 729.224 | 731.857 | 734.336 | 736.684 | 738.921 |
| expected move | 5.551 | 7.851 | 12.413 | 13.598 | 14.687 | 15.701 | 16.654 | 19.23 | 20.015 | 20.771 | 22.205 | 26.623 | 30.406 | 33.767 | 36.823 | 39.644 | 42.277 | 44.756 | 47.104 | 49.341 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
